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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Natural Gas(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 24 24 24 24 24 24 24 24 25 25
Closed Higher   11 14 8 6 9 13 15 16 15 12 10
Exceeded High   9 10 5 5 7 12 13 16 14 8 4
Scenario Percentage   82% 71% 63% 83% 78% 92% 87% 100% 93% 67% 40%
Avg Max Increase   9.19% 7.21% 6.70% 11.73% 17.93% 15.43% 18.40% 15.80% 14.68% 16.83% 11.08%
Max Increase   23.34% 15.36% 13.57% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 28.82% 18.75%
Avg Days To Max Increase   19 18 15 19 21 24 17 16 14 19 17
Avg Max Decline   -2.31% -4.05% -1.59% -2.17% -1.54% -3.04% -2.75% -4.06% -5.37% -6.12% -4.40%
Max Decline   -4.89% -13.01% -4.20% -4.16% -5.68% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   11 11 3 18 8 11 9 11 11 12 6
2014 Contract Condition   Yes     Yes Yes Yes Yes   Yes    
Action   Yes     Yes Yes Yes No   Yes    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 24 24 24 24 24 24 24 24 25 25
Closed Lower   13 10 16 18 15 11 9 8 9 13 15
Penetrated Low   11 9 12 15 12 8 7 8 7 12 12
Scenario Percentage   85% 90% 75% 83% 80% 73% 78% 100% 78% 92% 80%
Avg Max Decline   8.28% 7.80% 11.09% 11.78% 10.28% 13.11% 11.79% 10.31% 16.23% 16.65% 10.95%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 16.43%
Avg Days To Max Decline   16 22 18 13 17 20 19 19 22 19 17
Avg Max Increase   -1.64% -3.20% -1.14% -2.18% -2.17% -6.04% -4.53% -5.41% -5.11% -8.07% -2.61%
Max Increase   -6.55% -5.65% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 12 4 6 5 12 12 13 10 10 5
2014 Contract Condition     Yes Yes         Yes   Yes Yes
Action     Yes Yes         Yes   Yes Yes
High 4.058 3.959 4.029 4.077 3.985 4.285 4.483 4.891 4.700 4.870 4.841 4.893
Low 3.835 3.650 3.810 3.743 3.593 3.936 3.921 4.390 4.324 4.300 4.296 4.375
Close/Last 3.861 3.932 3.859 3.748 3.983 4.157 4.415 4.586 4.442 4.838 4.524 4.461

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